Walter Schachermayer

14 papers Journal 13

Year	Rank	Type	Title / Venue / Authors
2021	J	`jnl`	Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Commun. Inf. Syst. Ioannis Karatzas, Jan Maas, Walter Schachermayer
2020	J	`jnl`	Theoretical and empirical analysis of trading activity. Math. Program. Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi
2018	J	`jnl`	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang
2017	J	`jnl`	Erratum to: Utility maximization in incomplete markets with random endowment. Finance Stochastics Jaksa Cvitanic, Walter Schachermayer, Hui Wang
2017	J	`jnl`	The space of outcomes of semi-static trading strategies need not be closed. Finance Stochastics Beatrice Acciaio, Martin Larsson, Walter Schachermayer
2014	—	`ch.`	On the duality theory for the Monge?Kantorovich transport problem. Optimal Transport Mathias Beiglböck, Christian Léonard, Walter Schachermayer
2014	J	`jnl`	Transaction Costs, Shadow Prices, and Duality in Discrete Time. SIAM J. Financial Math. Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
2014	J	`jnl`	Transaction costs, trading volume, and the liquidity premium. Finance Stochastics Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer
2013	J	`jnl`	The dual optimizer for the growth-optimal portfolio under transaction costs. Finance Stochastics Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
2009	J	`jnl`	In which financial markets do mutual fund theorems hold true? Finance Stochastics Walter Schachermayer, Mihai Sîrbu, Erik Taflin
2006	J	`jnl`	A super-replication theorem in Kabanov's model of transaction costs. Finance Stochastics Luciano Campi, Walter Schachermayer
2003	J	`jnl`	A super-martingale property of the optimal portfolio process. Finance Stochastics Walter Schachermayer
2001	J	`jnl`	Utility maximization in incomplete markets with random endowment. Finance Stochastics Jaksa Cvitanic, Walter Schachermayer, Hui Wang
1997	J	`jnl`	Weighted norm inequalities and hedging in incomplete markets. Finance Stochastics Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker